Term Structure Mode And Estimation In A State Space Framework

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This book presents a series of dynamic models of the term structure of interest rates, covering both theory and estimation in a unified framework. Special emphasis is placed on models which are driven by innovations that have a Gaussian mixture distribution. These models are able to flexibly capture the observed non-normality in the distribution of bond yields. It is shown that the theoretical models can easily be cast into the statistical state space form, which provides a convenient framework for statistical inference. An application to US data illustrates the properties of the models and shows the estimation techniques at work.

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Lecture Notes in Economics and Mathematical Systems Founding Editors: M. Beckmann H. P. Kunzi Managing Editors: Prof. Dr. G. Fandel FachbereichWirtschaftswissenschaften Femuniversitat Hagen Feithstr. 140/AVZII, 58084 Hagen, Germany Prof. Dr. W. Trockel Institut fur Mathematische Wirtschaftsforschung (IMW) Universitat Bielefeld Universitatsstr. 25, 33615 Bielefeld, Germany Editorial Board: A. Basile, A. Drexl, H. Dawid, K. Inderfurth, W. Kursten, U. Schittko 565 Wolfgang Lemke Term Structure Modeling and Estimation in a State Space Framework Springer Author Wolfgang Lemke Deutsche Bundesbank Zentralbereich Volkswirtschaft/Economics Department Wilhelm-Epstein-StraBe 14 D-60431 Frankfurt am Main E-mail: [email protected] ISSN 0075-8442 ISBN-10 3-540-28342-0 Springer Berlin Heidelberg New York ISBN-13 978-3-540-28342-3 Springer Berlin Heidelberg New York This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, re-use of illustrations,
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